Add pullback entry pattern implementation plan

Design doc for a second M5 entry archetype: enter on retrace to
EMA21/KC-mid in an established trend instead of at Keltner-breakout
extension. Includes detector spec, geometry, validation protocol
(both-halves + quarterly + displacement checks), and the +105R
baseline to beat. Session/frequency knobs (blocked hours, cooldown)
were tested 2026-07-09 and confirmed already optimal — this is the
remaining evidence-backed entry-side direction.

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>

PULLBACK_ENTRY_PLAN.txt

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+PULLBACK ENTRY PATTERN — IMPLEMENTATION PLAN
+=============================================
+Drafted 2026-07-09. Status: PLANNED (not implemented).
+
+WHY (evidence from 12mo M5 backtests, $0.30 spread, trailing exits)
+-------------------------------------------------------------------
+All 311 current trades are one archetype: trend-continuation breakout
+(EMA 4/4 aligned + ADX>25 + MACD accelerating + price through Keltner
+band). We systematically enter at maximum extension:
+
+- Trades carrying the "NO PULLBACK — price >2.5 ATR from EMA21" warning
+  average +0.063R vs +0.112R without it (145 vs 103 trades, 6mo set).
+- 28% of stopped-out trades never moved toward the target — instant
+  reversals from buying the local top / selling the local bottom.
+- "Extended — RSI in trend" warning trades: +0.057R vs +0.183R without.
+
+A pullback entry catches the SAME trends at better prices: enter on the
+retrace toward EMA21 / Keltner midline, stop below the retrace swing
+instead of 2×ATR behind an extended price. Tighter risk, same trend.
+This ADDS trades (new signal source) — it does not filter existing ones.
+
+DETECTOR SPEC (engine.py — new module-level check in M5 path)
+-------------------------------------------------------------
+Trend context (all required):
+  1. EMA alignment >= 3/4 in trend direction (allow 9<21 wobble mid-pullback)
+  2. ADX >= 20 on M5 (relaxed vs breakout's 25: ADX decays during retrace)
+  3. H1 confirmation score agrees with trend direction (>= +10 / <= -10),
+     reuse Gate-3 machinery.
+
+Pullback trigger (all required):
+  4. Price touched/undercut EMA21 or KC midline within last 3 bars
+     (low <= band for BUY; high >= band for SELL).
+  5. Retrace depth 0.5–2.5 ATR from the pre-pullback swing extreme
+     (deeper = trend likely broken; shallower = still extended).
+  6. Resumption bar: close back in trend direction (close > open for BUY)
+     AND close above EMA9 (below for SELL) — do not catch the falling knife.
+  7. RSI in the pullback zone: BUY 35–55, SELL 45–65 (NOT the extended
+     zones the breakout entries fire in — that is the whole point).
+
+Suppression:
+  8. Skip if a breakout signal fired within cooldown (no double entry
+     on the same leg — cd2/cd3 tests proved same-direction pyramiding
+     is train-half-only noise).
+  9. All existing M5 gates 1–6 still apply where meaningful; Gate 1
+     (|score|>=30) will need a variant — pullback bars have weaker
+     composite scores BY DESIGN (price below the momentum bands), so
+     validate a separate m5_pullback_min_score knob (start ~20).
+
+GEOMETRY
+--------
+- SL: below the pullback swing low (BUY) − 0.5×ATR buffer, floored at
+  min_sl_pips ($8). Expect typical SL 40–60% tighter than breakout SLs.
+- Exit: same trailing stop (arm +0.6R, trail 0.75R, max_hold 300).
+  NOTE: tighter SL means R units are smaller in dollars — re-validate
+  trail params on pullback trades separately; the arm/dist plateau was
+  measured on breakout-sized risk. If needed give pullback its own
+  trail knobs.
+- Tag trades strategy="XAU_PB" in the backtester so every report
+  splits breakout vs pullback cleanly.
+
+VALIDATION PROTOCOL (same discipline as 2026-07-09 sessions)
+------------------------------------------------------------
+1. Implement detector behind config flag m5_pullback_enabled=False.
+2. 365d backtest, flag on; export CSV; analyze XAU_PB trades alone:
+   - REQUIRE: positive totalR in BOTH data halves
+   - REQUIRE: positive in >= 3 of 4 full quarters
+   - REQUIRE: does not degrade breakout-trade totals (displacement
+     check vs baseline entry_time set, like the cooldown analysis)
+   - TARGET: >= +0.15R/trade average, >= 1 trade/week added
+3. Threshold sweeps (retrace depth, RSI zone, ADX floor) via the
+   offline exit-sim harness pattern where possible; full reruns where
+   entries change.
+4. Reject-and-document if it fails — same as blocked-hours/cooldown
+   experiments (see memory: entry-side experiments rejected).
+
+BASELINE TO BEAT (do not regress)
+---------------------------------
+12mo M5: 311 trades, +105.0R, PF 2.27, DD 7.9R, WR 61.4%,
+train/val +54.6/+50.4, every quarter positive, ~6-8 trades/week.
+(commit 987ec5b, CSV: m5_365d_trail300 in session scratchpad)
+
+IMPLEMENTATION ORDER
+--------------------
+1. config.py: m5_pullback_enabled, m5_pullback_min_score,
+   pullback RSI zones, retrace depth bounds.
+2. engine.py: pullback detector producing a candidate flag + swing
+   levels (attach as result._pullback_setup, underscore-private).
+3. signal_aggregator.py: consume flag, build XAU_PB trade setup with
+   pullback geometry; route through gates with pullback score variant.
+4. gpu_backtest.py: ensure strategy tag flows to CSV (already does via
+   strategy_tag) and pre-filter loop does not drop pullback candidates.
+5. Backtest + validate per protocol; tune; commit only on pass.
+
+RISKS
+-----
+- Pullback entries in a trend that IS reversing = catching the knife;
+  the resumption-bar condition (6) is the main guard — do not weaken it.
+- Score-gate variant (9) is the most likely source of overfitting;
+  sweep it last, keep the grid coarse.
+- M5 pullbacks during news spikes: calendar buffer already applies via
+  existing pipeline; verify it fires for XAU_PB too.